Create a light material which is seen as a focus in Cycles
To achieve that kind of look in Cycles, you need to use Volumetrics. The light can be normal spotlight. To make scene have volumetrics, you have two options:


Make a cube (or any other shape) that encloses the scene. Add a new material to this object. In Material tab, for Surface select Disconnect and for Volume select Volume Scatter, and adjust the density to suit your scene (usually needs to be much less than the default 1, try between 0.3 and 0.01)
In World tab, for Volume, select Volume Scatter with same settings than above. You don't have to disconnect the world surface.


To get the result in pic you linked, you only need to do one of the two.